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ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
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http://hdl.handle.net/10419/49478
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| Title: | | Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system  |
| Authors: | | Caporale, Guglielmo Maria Girardi, Alessandro |
| Issue Date: | | 2011 |
| Series/Report no.: | | CESifo working paper: Monetary Policy and International Finane 3525 |
| Abstract: | | This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of the dominant market when our measures (as opposed to the traditional price discovery metrics) are used. We also present unambiguous evidence that a market's contribution to price discovery is crucially affected by the level of trading activity. The implications of these empirical findings are discussed in the light of the debate about the possible restructuring of the regulatory framework for the Treasury bond market in Europe. |
| Subjects: | | price discovery liquidity MTS system |
| JEL: | | G10 C21 C32 |
| Document Type: | | Working Paper |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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